In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.

In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model. By using some stochastic analysis techniques, a convergence result for the discounted surplus process, an expression for the ruin probability, and the upper bounds for the ruin probability are obtained.

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114212 bytes

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25088 bytes

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application/pdf

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application/msword

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eng

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Cambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=PES

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Probability in the Engineering and Informational Sciences

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This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.